FRM基础班操作风险

金程教育FRM根底班讲义

OperationalRiskManagement讲师：吴坚隽日期：2021年8月地点：■上海□北京□深圳11吴坚隽2StudySessionProportionQuestionFoundationsofRiskManagement10%14questionsQuantitativeAnalysis10%14questionsFinancialMarketsandProducts15%21questionsValuationandRiskModels15%21questionsMarketRiskMeasurementandManagement10%14questionsCreditRiskMeasurementandManagement10%14questionsOperationalandIntegratedRiskManagement10%14questionsRiskManagementandInvestmentManagement10%14questionsCurrentIssuesinFinancialMarkets10%14questionsTotal:

100FRM课程框架3OutlineOperationalRiskWarmUp:WhyOperationalRisk?DefinitionofOperationalRiskMeasurementofOperationalRiskManagementofOperationalRiskOtherRisksrelatedtoOperationalRiskTechnologyRiskDaylightOverdraftRiskModelRisk4WhatIsRiskandRiskManagement?ReputationalRiskRiskEarningsVolatilityManagementofthedriversofearningsvolatilityManagementoftheperceptionofmanagementstrengthandcorporateculture5DriversofEarningsVolatilityEarningsVolatilityCreditRiskMarketRiskOperationalRisksBusiness/StrategicRisks6TheRiskTree7CaseHistoriesofOperationalRiskFeb2002AlliedIrishBank(US$691mloss)Aroguetrader,JohnRusnack,

hides3yearsoflosingtradesontheyen/dollarexchangerateattheU.S.

subsidiary.Thebank’sreputationisdamaged.Mar1997NatWest($127mloss)Aswaptiontrader,KyriacosPapouis,

deliberatelycoversuplossesbymis-pricingandover-valuingoptioncontracts.

Thebank’sreputationisdamaged:NatWestiseventuallytakenoverbytheRoyal

BankofScotland.Sept1996MorganGranfell(US$720million)Afund

manager,PeterYoung,exceedshisguidelines,leadingtoalargeloss.Deutsche

Bank,theGermanownerofMGAM,agreestocompensatetheinvestorsinthefund.8Jun1996Sumitomo(US$2.6billionloss)Acoppertraderamassesunreportedlossesover3years.YasuoHamanaka,knownas“Mr.FivePercent,〞aftertheproportionofthecoppermarkethecontrolled,issentencedtoprisonforforgeryandfraud.Thebanks’reputationisseverelydamagedSep1995:Daiwa($1.1bloss)Abondtrader,ToshihideIgushi,amassesunreportedlossesover11yearsattheU.S.subsidiary.Thebankisdeclaredinsolvent.Feb1995:Barings($1.3bloss)NickLeeson,aderivativestraderamassesunreportedlossesover2years.Baringsgoesbankrupt.Oct1994:BankersTrust($150mloss)Thebankbecomesembroiledinahigh-profilelawsuitwithacustomerthataccusesitofimpropersellingpractices.Bankerssettlesbutitsreputationisbadlydamaged.ItislaterboughtoutbyDeutscheBank.CaseHistoriesofOperationalRisk9LessonsfromtheCaseHistoriesInvolvingroguetradersorinternalfrauds.Involvingamixofmarketriskandoperationalrisk(failure

tosupervise).Costs:Directcost-monetarylossesIndirectcost–

reputational

damage,liquidityproblem,insolvency,bankruptcy…10OperationalRiskOperationalRiskMostfinancialdisasterscanbeattributedtoacombinationofmarketandcreditriskalongwithsomefailureofcontrols,whichisaformofoperationalriskNocommondefinitionsforthisriskclassBaselIIforthefirsttimeestablishesDefinitionforoperationalriskLosseventtypesCapitalchargesforoperationalrisk11DefinitionforOperationalRisk“...theriskoflossresultingfrominadequateorfailedinternalprocesses,peopleandsystemsorfromexternalevents.Thedefinitionincludeslegalriskbutexcludesstrategicandreputationrisk.〞.12BaselIIDefinitionofOp-RiskRisklossresultinginadequateorfailed

internalprocess,peopleandsystemsorfromexternaleventsInclude:LegalRiskExclude:strategicandreputationrisk定义的方式causeimpact定义中引起操作风险的原因People(humanfactor)Internalprocessessystemsexternalfactors.定义中不包含的风险strategicriskandreputationalrisk定义中包含的风险legalrisk13OpRiskClassification:InternalRisks

(Source:BritishBankers’Association)InternalRisksPeopleProcessesSystemsEmployeecollusion/fraudEmployeeerrorEmployeemisdeedEmployersliabilityEmploymentlawHealthandsafetyIndustrialactionLackofknowledge/skillsLossofkeypersonnelAccountingerrorCapacityriskContractriskMisselling/suitabilityProductcomplexityProjectriskReportingerrorSettlement/paymenterrorTransactionerrorValuationerrorDataqualityProgrammingerrorsSecuritybreachStrategicrisks(platform/suppliers)SystemcapacitySystemcompatibilitySystemdeliverySystemfailureSystemsuitability14OpRiskClassification:ExternalRisks

(Source:BritishBankers’Association)ExternalRisksExternalPhysicalLegalMoneylaunderingOutsourcingPoliticalRegulatorySupplierriskTaxFireNaturaldisasterPhysicalsecurityTerroristTheft15BusinessLinesandOperationalRisk16CommercialBankingandOperationalRisk

(Source:OWC)(Source:CMRA)17MostSignificantOpRisk-APollbyRiskManagementAssociationin200318BaselIILossEventTypesandExamplesEventTypeExamplesInternalfraudEmployeetheft,intentionalmisreportingofpositions,andinsidertradingonanemployee'sownaccountExternalfraudRobbery,forgery,andcheckkitingEmploymentpracticesandworkplacesafety（就业政策与工作场所安全）Workers'compensationanddiscriminationclaims,violationofemployeehealthandsafetyrules,andgeneralliabilityClients,products,andbusinesspractices（客户，产品和业务操作）Fiduciarybreaches,misuseofconfidentialcustomerinformation,moneylaundering,andsaleofunauthorizedproductsDamagetophysicalassets（实体资产损坏）Terrorism,vandalism,earthquakes,fires,andfloodsBusinessdisruptionandsystemfailures（业务中断和系统失败）Hardwareandsoftwarefailures,telecommunicationproblems,andutilityoutagesExecution,delivery,andprocessmanagement（执行，交割和流程管理）Dataentryerrors,collateralmanagementfailures,incompletelegaldocumentation,andvendordisputes19ProcessRisks-InadequateProcessIntegrity&DurabilityExecution,Delivery&ProcessManagementBusinessDisruptionandSystemsFailureConductRisks-EthicalorLegalMisconductClients,Products&BusinessPracticesEmploymentPracticesandWorkplaceSafetyInternalTheftandFraudExternalRisks-ExternalVulnerabilitiesExternalTheftandFraudDamagetoPhysicalAssetsRe-groupingofOpRisklossevents20OperationalRiskEvents21Top-DownModelsonOpRiskAssessmentTheyattempttomeasureoperationalriskatthebroadestlevel,thatis,

firm-wideorindustry-widedata.Resultsarethenusedtodeterminetheamountof

capitalthatneedstobesetasideasabufferagainstthisrisk.Thiscapitalisallocated

tobusinessunits.22Bottom-upModelsonOpRiskAssessmentTheystartattheindividualbusinessunitorprocesslevel.Theresultsarethenaggregatedtodeterminetheriskprofileoftheinstitution.Themainbenefitofsuchapproachesisthattheyleadtoabetterunderstandingofthecausesofoperationallosses.23AssessingOperationalRiskSummaryTop-DownApproachBottom-UpApproachSophisticationSimpleComplexDatarequirementNon-intensiveIntensiveHFLSVLFHSUndifferentiatedDifferentiatedDiagnosticabilityNoYesPerspectiveBackward-lookingForward-looking24TopDownMethod1.Multi-factormodels2.Income-basedmodels3.Expense-basedmodels4.Operatingleveragemodels5.Scenarioanalysis6.Riskprofilingmodels25Multifactormodels(TD)：Return-basedmodelThisapproachanalyzesthereturntimeseriesandsomemacroeconomictimeseries.Thelateronesreflectthemarketriskorcreditrisk.Forinstance,wehaveY=A+BX+εY:ReturnChangeX:RiskFactorsB:SensitivityFactors(1–R2)*V(y)canindicatethesizeofunsystematicrisk(i.e.operationalrisk)Itiseasytoestimate(publictradedfirms)CannotbeusedasdiagnostictoolUsefulinestimatingfirm’sstockpricereactiontoHFLSOReventsonly.DoesnotperformwellwhenlargescaleeventsbreakthecontinuityofequityreturnsMergerCatastrophic(LFHS)26Multifactormodels(TD)：Return-basedmodelOtherrelatedmodels:Income-basedmodelThesearealsocalledEarningatRisk(EaR)models.Incomeorrevenue(asthedependentvariable)isregressedagainstcreditriskfactor(s)andmarketriskfactor(s).Theresidual,orunexplained,volatilitycomponentisdeemedtobethemeasureofoperationalrisk.Otherrelatedmodels:Expense-basedmodelOperationalriskismeasuredasfluctuationsinhistoricalexpenses.Thisistheeasiestapproachbutignoresoperationalrisksthatareunrelatedtoexpenses;further,arisk-reducinginitiativethathappenedtoincreaseexpenses(becauseitinvolvedacost)wouldbemischaracterized.27ScenarioAnalysisInthiscontext,thisisagenericlabelreferringtoanattemptto“imagine〞variousscenariosthatcontaincatastrophicshocks.Bydefinition,scenarioanalysisattemptstoanticipatelowfrequencyhighseverity(LFHS)riskevents–butdoingthisgenerallyisasubjectiveexercise.28Riskprofilingmodels

(TD)：KeyRiskIndicatorsKRIaresimplemeasuresthatprovideanindicationofwhetherrisksarechangingovertime.Thesecanincludeauditscores,staffturnover,tradevolumes,andsoon.〔总量上，建立联系〕Theassumptionisthatoperationalriskeventsaremorelikelytooccurwhentheseindicatorsincrease.ThesemeasuresallowtheriskmanagertoforecastlossesthroughtheapplicationofstatisticalmodelsOtherrelatedmodelsOperationalperformanceindicators/KPIOperationalcontrolindicators/KCI29BottomUpMethodTherearethreetypesofbottom-upapproaches:

ProcessApproachTheprocessapproachattemptstoidentifyrootcausesofrisk;becauseitseekstounderstandcauseand-effect,inshouldbeabletohelpdiagnoseandpreventoperationallosses.ActuarialProprietary.30Processapproachesmodels

(BU)：CausalnetworksCausalnetworksexplainlossesintermsofasequenceofrelatedvariables.Eachvariableitselfcanbeduetothecombinationofothervariables.Forinstance,settlementlossescanbeviewedascausedbyacombinationof(1)exposureand(2)timedelay.Causesandeffectsarelinkedthroughconditionalprobabilities.Simulationsarethenrunonthenetwork,generatingadistributionoflosses31Processapproachesmodels

(BU)OtherrelatedmodelsConnectivityModelConnectivitymodelsaresimilartoscorecardsbuttheyfocusoncause-and-effect.Examplesofconnectivitymodelsincludefishboneanalysisandfaulttreeanalysis.ReliabilityModelsReliabilitymodelsemphasizestatisticaltechniquesratherthanrootcauses.Theyfocusonthelikelihoodthatariskeventwilloccur.Thetypicalmetricistheeventfailurerate,whichisthetimebetweenevents.〔关注事件发生的间隔〕32ActuarialModels(BU)：Parametric-basedlossdistribution

Thisapproachestimatestheobjectivedistributionoflossesfromtwokindofdistributions,lossfrequenciesandlossseverities.Thelossfrequencydistributiondescribesthenumberoflosseventsoverafixedintervaloftime.Traditionalparamediclossfrequencydistributionsare:BinomialDistributionNegativeBinomialDistributionPoissonDistributionThelossseveritydistributiondescribesthesizeofthelossonceitoccurs.Traditionalparamediclossseveritydistributionsare:LognormalDistributionWeibullDistributionTANDistribution(mixtureofNormaldistributionandGammadistribution)33ActuarialModels(BU)OtherrelatedmodelsHistorical-basedlossdistributionInternalandexternaldataonoperationallossesareplottedinahistograminordertodrawtheempiricallossdistribution.Basically,itisassumedthatthehistoricaldistributionwillapplygoingforward.Assuch,nospecificationormodelisrequired(i.e.,MonteCarlosimulationcanfillinthegaps).ExtremeValueTheoryThisapproachisnotmutuallyexclusivetotheempiricalandparametricapproaches.EVTconductsadditionalanalysesontheextremetailoftheoperationallossdistribution.ForLFHSevents,acommondistributionistheGeneralizedParetoDistribution(GPD).Extremevaluetheory(EVT)impliestheuseofadistributionthathasfat-tails(leptokurtosisorkurtosis>3)relativetothenormaldistribution.34FrequencyandLossTable35ConvolutionNumberoflossesFirstLossSecondLossTotalLossProbability011122222222201000100001000001000100010001000010000100001000001000001000000000100010000100000100010000100000100010000100000010001000010000020001100010100011000200001100001010001100002000000.60.150.090.060.0250.0150.0100.0150.0090.0060.0100.0060.004Expectation1175036OperationalLossDistributionExpectedLoss=averagelossUnexpectedLoss=WorstCaseLoss–ExpectedLoss37OperationalLossDistribution$100,000withaprobabilityof96.4%.VaRat96.4%=100000-11750=$88,25038ProprietaryOperationalRiskModelsProprietaryOperationalRiskModelsProprietarymodelsinclude,forexample,OpVarofferedbyOpVantage.Aproprietarymodelvendorhastheirowndatabaseofeventlossesthatcanbeusedtohelpfitdistributions.39OperationalRiskManagementEightKeyPrinciplesrelevanttobanksforORMframeworkDefinitionandApprovalInternalauditscrutiny〔详细审查〕FormulationandimplementationAssessmentandidentificationMonitoringandreportingControlandreviewpoliciesContingencystrategiesPublicdisclosure40OperationalRiskManagementIntegratedtheEightKeyPrinciplesinaFirm-wideframeworkDefiningmanagerialresponsibilitiesIdentifyingdependenciesacrossunitsDevelopingpreventioncontrolsExamininginternallossdataandexternaleventsPeriodicallyreviewingandupdatingtheopriskplan41MethodsforHedgingOperationalRiskInsuranceSelf-InsurancecashreservesReservesofliquidassetsContingentcreditlineRiskpreventionandcontrolOff-shoreinsurancesubsidiary〔CaptiveInsurers〕DerivativesCatoptions—spreadoption(underwritingderivatives,Weatherderivatives)Catbonds(Indemnifiednotes〔减免〕,Indexednotes,Parametricnotes)42InsuranceWhy?(transferORtoInsuranceCompany,especiallyLFHS)ProblemofmoralhazardleadtoDeductibleCo-insurancefeaturesPrimarydisadvantage:thelimitationofpolicycoverage.10-30%ofpossibleOL.Largepotentiallossesmaybeuninsurable.Ambiguityinthedegreeofcoverage—delaysinsettingclaims.Insuranceistypicallyexpensive-beusedjudiciouslytotargetrisktowhichthefirmismostvulnerable.(HigherthanEL)Thenhowaboutself-Insurance?43Self-insuranceWhy?reducethecostofinsurancecoveragetomanageriskinternallyCapitalprovisionheldascushionagainstoperationallosses.Setasideaportfolioofliquidassets,suchasmarketablesecurities.Establishalineofcredit—makesfinancingavailablecontingentontheoccurrenceoflargeoperational.RiskpreventionandcontrolInvestresourcestoconstructriskmitigationtechniquesIntheform(riskidentification,externalvalidation,riskmonitoring,incentivetopromoteactivities,riskreportingrequirements,ControlOR)Captiveinsurerwhollyownedinsurancesubsidiaryallowthefirmtoobtainthepreferentialtaxtreatmentaccordedtoinsurancecompany.44HowtoChoose?ThreeMethodsSub-methodComments/characteristicEmpiricalResults(Lossestohedge)>USD100MUSD51~100MUSD11~50M<USD10MSelfInsurancecashreservesheldascushionagainstoperationallossesAppliedAppliedAppliedReservesofliquidassetsContingentcreditlinecredit—makesexternalfinancingavailableRiskpreventionandcontrolInvestresourcestoconstructriskmitigationtechniquesCaptiveinsurerallowthefirmtoobtainthepreferentialtaxtreatmentAppliedApplied45MethodsforHedgingOperationalRiskThreeMethodsSub-methodComments/characteristicEmpiricalResults(Lossestohedge)>USD100MUSD51~100MUSD11~50M<USD10MInsuranceProblemofmoralhazardleadtoDeductibleandCo-insurancefeaturesAppliedAppliedAppliedDerivativesCatoptionsOfferinsuranceeffect/notwell-developedEmpiricalResultsNotavailable46OutlineOperationalRiskWarmUp:WhyOperationalRisk?DefinitionofOperationalRiskMeasurementofOperationalRiskManagementofOperationalRiskOtherRisksrelatedtoOperationalRiskTechnologyRiskDaylightOverdraftRiskModelRisk47RelationshipBetweenTechnologicalImprovements,OperationalRiskandProfitabilityTechnologycandirectlyimproveprofitabilityInterestincomeincreaseInterestExpensereduceOtherincomeincrease〔新产品〕Noninterestexpensesreduce〔人力资源效率提升〕TechnologyenhancementcanincreaseoperationalriskFuturerevenueswon’tcoverdevelopmentcostsexcesscapacityproblemintegrationproblemcostoverrunproblemscostcontrolproblems48EconomiesofScale规模经济规模经济在产业经济学中又叫规模利益，是指伴随着企业生产能力的扩大而出现的生产批量扩大，以及由此而带来单位制成品生产本钱的下降和企业盈利的递增现象〔Theeconomyofscaleadvantageisadeclineintheaveragecostofproducingaserviceasthefinancialinstitutiongrows.〕Averagecostofproduction：ACiaveragecostofithfinancialinstitution，TCiTotalcostofithfinancialinstitutionSirepresentssizeofthefinancialinstitutionsmeasuredbyassets,depositsandloansThreeshapesofDiseconomiesofScale49EconomiesofScope50TechnologicalRiskSomeempiricalresultsEconomicsofscale(Asset$10-25billion)existforlargeregionalandsuper-regionalbankEconomicsofscopeexistevidenceisweakamongbank.NoevidenceofEconomicsofscale/scopeinnonbankfinancialserviceNostrongevidencethatbiggerisbetter.Economicsofscopeandscaledon’texplaincostdifferencesamongthesamesizefirms.RelativelylowpayofffromtechinnovationlargeFIgainefficiencybygeneratingrevenueratherthanreducingcosts.X无效率？51DaylightoverdraftriskFedwire通过FedWire的资金清算是双向的，即联邦储藏银行借记寄出方账户，并以相同信息贷记接收方账户。FedWire允许白天透支。在转账时，如果寄出方在联邦储藏账户中的资金缺乏，无法在其账户中对可用资金进行借记，即寄出方不能立即和联邦储藏银行清算其资金余额，此时，FedWire那么向其发出一笔贷款，并仍然贷记接收方储藏账户。因此，不管寄出方能否同联邦储藏银行清算其资金余额，对接收方来说，支付总是最终的。52DaylightoverdraftriskWiretransfersysteminUSCHIPS(ClearingHouseInterbankPaymentSystem):纽约清算所银行同业支付系统国际贸易资金清算的桥梁欧洲美元供给者进行交易的通道Purenetsettlementsystem，日初头寸0Allintradaytransfersareconsideredprovisionaluntilsettlementoccursattheendoftheday.层层代理的清算体制:非参加银行可由参加银行代理清算，参加银行又由会员银行代理清算53DaylightoverdraftriskCHIPS流程中央计算机系统对各参加银行当日(ValueDate)的每笔交易进行统计，统计出各参加银行应借或应贷的净金额。中央计算机系统给各参加银行传送当日交易的摘要报告当日下午4：30后，CHIPS关闭，通过FedWire网，将各参加银行应借或应贷的净金额通知纽约区联邦储藏银行。纽约区联邦储藏银行利用其会员银行的存款准备金账户完成清算。清算完成后，通知CHIPS，CHIPS那么于下午5：30～6：30，用1小时的时间轧平账务。54DaylightoverdraftriskWhatisdaylightoverdraft?daylightoverdraft,daylightcredit,daylightexposure,intradaycredit日间透支,日间信用,日间风险,日内信用BKhavenegativeintradaybalancesonFed准备金一个营业日以内的信用；在日终结算的信用转帐系统中，假定接收了支付指令的机构接收了支付指令并且即使这家机构在营业日结算前不能收到最终资金也按指令的要求行动的话，它就在实事上心照不宣地提供了日间信贷。画图55Daylightoverdraftrisk结果：专家认为是银行系统的最大风险BONY1985—Afailurecouldbedestabilizingtothe金融市场Bony(政府债券的主要交易商)1985/11/20软件系统崩溃日间风险上升21号晚上修复Fed提供了一天的贷款，相当于其总资产的2/3.56ModelRiskDefinemodelriskandidentifysourcesofmodelrisk.Modelriskistheriskassociatedwithusingfinancialmodelstosimulatecomplexrelationships.Itmayarisefromincorrectmodelapplication,implementationrisk,calibrationerrors,programmingerrors,anddataproblems.57Rebonato’sdefinitionofmodelrisk:Modelriskistheriskofoccurrenceofasignificantdifferencebetweenthemark-to-modelvalueofacomplexand/orilliquidinstrument,andthepriceatwhichthesameinstrumentisrevealedtohavetradedinthemarket.ModelRisk58Thereareseveralpointsworthnoticingaboutthedefinition.Firstofall,fromthedefinitionitfollowsthat,ifreliablepricesforallinstrumentswereobservableatalltimes,modelriskwouldnotexist.Anotherimportantobservationisthattheinstrumentinquestionmay,butneednot,becomplexorheldoff-balancesheet:modelriskhasoftenbeenassociatedwithcomplexderivativesproducts,butadeeplyout-of-themoneycall(theplain-vanillaoptionparexcellence)andanilliquidcorporatebond(aprototypicalon-balance-sheetinstrument)canbothpresentsubstantialmodelrisk.Whatboththeseinstrumentshaveincommonisthatthevalueatwhichtheywouldtradeinthemarketcannotbereadilyascertainedviascreen